In general? It is a strongly typed functional language with excellent type inference that isn't lazy and support imperative programming. I think (and this is opinion) that it much easier to reason about an program written idiomatically in a dialect of ML (such as F#) than one written in idiomatic Haskell, basically just due to the lack of laziness. I also think I prefer Haskell to the ML variants, but I also found the hump which one has to get over in order to be productive significantly lower.
.NET is a good technology if you don't mind being somewhat tied to the Mircrosoft stack: it's well designed, reasonably performant, strongly supported and relatively stable. It has good integration with other Microsoft products, good tooling with Visual Studio and an extensive set of libraries. (The libraries are what would probably tie you the most strongly to Microsoft.)
Functional programming is a much deeper topic, so I'll give my condensed and unabashedly biased summary: functional languages tend to be more expressive (and, transitively, more productive) while producing code that's easier to support--F# has a good type system, and functional programming leads to much lower coupling than OO much less procedural programming. This happens without sacrificing performance too much. Sure, you won't get C speed (or even C# speed), but it's more than good enough for most tasks. I'm pretty sure F# is at most a couple of times slower than C#--much faster than the popular dynamically typed languages! I'm really only familiar with OCaml and Haskell, both similar languages, and they can certainly produce fast code.
So if you're convinced by functional programming and somehow tied to .NET, F# is the perfect choice. If you're not tied to .NET, I would recommend Haskell or maybe OCaml instead.
It's not just tied to MS, it runs on every major platform thanks to Mono see the left bar on this site http://fsharp.org/
If there is an equivalent in any other language than F#, do tell.
Gosu was actually the first language I ever used at a real job (well, an internship), which is not a common distinction :P. That also means that my current OCaml internship actually uses a more common language! I bet none of the other interns here can claim having professionally used a language markedly less popular than OCaml.
